Weekly Swaps Report 06/21/2021
Gross Notional Outstanding by Cleared Status (Millions of USD) - Open Interest Equivalent (Single-Count)
Gross Notional by Cleared Status
Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for cleared and uncleared descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Gross Notional Outstanding by Cleared Status (Millions of USD) - Open Interest Equivalent (Double-Count)
Gross Notional by Participant Type
Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding by Cleared Status" table. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for participant type descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Ticket Volume by Cleared Status (Transactions) (Single-Count)
Ticket Volume by Cleared Status
Weekly total, swap ticket volumes by asset class and cleared status (number of new trades), all products, tenors, and participant types. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for cleared and uncleared descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Ticket Volume by Participant Type (Transactions) (Double-Count)
Ticket Volume by Participant Type
Weekly total, swap ticket volumes by asset class and participant type (number of new trades), all products and tenors, cleared and uncleared. For cleared swaps, the creation of each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, each trade is attributed to both swap counterparties. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Ticket Volume by Cleared Status" table. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for participant type descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Dollar Volume by Cleared Status (Millions of USD) (Single-Count)
Dollar Volume by Cleared Status
Weekly total, swap dollar volumes by asset class and cleared status (value of all trades in millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for cleared and uncleared descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Dollar Volume by Participant Type (Millions of USD) (Double-Count)
Dollar Volume by Participant Type
Weekly total, swap dollar volumes by asset class and participant type (value of all trades in millions of USD), all products and tenors, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Dollar Volume by Cleared Status" table. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for participant type descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Gross Notional Outstanding - Interest Rate (Millions of USD)
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Fixed-Float | 131,281,563 | 12,150,759 | 143,432,322 |
FRA | 38,030,185 | 280,478 | 38,310,663 |
OIS | 35,635,649 | 2,063,484 | 37,699,133 |
OTHER* | 24,857,939 | 38,066,493 | 62,924,432 |
TOTAL | 229,805,335 | 52,561,214 | 282,366,550 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption. |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Basis | 12,916,964 | 604,507 | 4,103,000 | 1,369,596 | 1,727,741 | 1,072,973 | 21,794,781 |
Fixed-Float | 52,375,819 | 38,712,692 | 10,912,977 | 5,982,464 | 6,964,263 | 28,484,107 | 143,432,322 |
FRA | 13,139,907 | 19,814,302 | 3,060,107 | 13,751 | 0 | 2,282,596 | 38,310,663 |
OIS | 11,131,278 | 10,566,770 | 11,353,251 | 409,006 | 1,040,468 | 3,198,359 | 37,699,133 |
Swaption | 10,019,659 | 4,705,592 | 3,351,621 | 673,650 | 209,744 | 161,941 | 19,122,206 |
OTHER* | 11,044,991 | 6,039,539 | 2,645,698 | 98,397 | 50,568 | 2,128,251 | 22,007,445 |
TOTAL | 110,628,619 | 80,443,402 | 35,426,654 | 8,546,864 | 9,992,784 | 37,328,227 | 282,366,550 |
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation. |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60+ | Total |
Basis | 2,192,997 | 1,143,264 | 2,675,912 | 2,499,133 | 5,899,012 | 7,384,464 | 21,794,781 |
Fixed-Float | 16,100,860 | 3,836,385 | 13,623,819 | 16,701,765 | 38,045,981 | 55,123,512 | 143,432,322 |
FRA | 29,824,797 | 8,444,985 | 38,172 | 131 | 2,286 | 292 | 38,310,663 |
OIS | 18,128,150 | 1,445,053 | 4,254,831 | 3,892,911 | 4,707,055 | 5,271,132 | 37,699,133 |
Swaption | 128,169 | 3,329 | 5,216,670 | 2,616,542 | 3,780,515 | 7,376,981 | 19,122,206 |
OTHER* | 1,155,010 | 346,522 | 4,487,299 | 2,092,648 | 5,320,826 | 8,605,140 | 22,007,445 |
TOTAL | 67,529,983 | 15,219,540 | 30,296,702 | 27,803,130 | 57,755,675 | 83,761,520 | 282,366,550 |
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation. |
IRS by Product, Participant Type & Cleared Status
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation. |
Notes
Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Gross Notional Outstanding - Credit (Millions of USD)
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche / Index | 2,200,980 | 1,069,579 | 3,270,559 |
Asia | 60,003 | 65,038 | 125,040 |
Europe | 1,253,166 | 331,660 | 1,584,826 |
North America | 851,635 | 616,151 | 1,467,786 |
Other | 36,177 | 56,730 | 92,907 |
OTHER* | 1,987 | 882,112 | 884,099 |
TOTAL | 2,202,967 | 1,951,691 | 4,154,658 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche | 63,466 | 152,670 | 0 | 216,136 |
Index | 468,619 | 2,491,524 | 94,280 | 3,054,423 |
Asia | 0 | 125,040 | 0 | 125,040 |
Europe | 208,654 | 1,257,647 | 0 | 1,466,301 |
North America | 259,964 | 1,108,837 | 3,779 | 1,372,580 |
Other | 0 | 0 | 90,501 | 90,501 |
OTHER* | 91,398 | 684,541 | 108,159 | 884,099 |
TOTAL | 623,483 | 3,328,735 | 202,440 | 4,154,658 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Grade
* Includes exotic credit products, swaptions, and total return swaps. |
Notes
Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Gross Notional Outstanding - FX (Millions of USD)
FX by Product & Cleared Status
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 11,950 | 31,760,356 | 31,772,306 |
NDF | 1,255,982 | 3,684,572 | 4,940,553 |
Options | 65,398 | 5,633,271 | 5,698,669 |
Exotics | 25 | 600,767 | 600,792 |
Cross Currency | 67,729 | 11,369,370 | 11,437,099 |
TOTAL | 1,401,084 | 53,048,336 | 54,449,420 |
FX by Major Currency Pair, Region & Product
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 28,707,154 | 4,883,984 | 4,958,174 | 404,935 | 10,903,172 | 49,857,419 |
EUROPE | 14,416,742 | 154,217 | 1,824,415 | 118,661 | 5,799,360 | 22,313,395 |
EUR | 7,834,390 | 84,606 | 1,487,656 | 99,865 | 3,383,353 | 12,889,870 |
GBP | 4,294,327 | 42,621 | 204,578 | 13,529 | 1,855,665 | 6,410,721 |
CHF | 988,023 | 17,211 | 106,437 | 3,925 | 271,398 | 1,386,993 |
OTHER2 | 1,300,001 | 9,779 | 25,743 | 1,342 | 288,945 | 1,625,810 |
AMERICAS/CARIBBEAN | 2,658,778 | 1,056,186 | 617,313 | 21,700 | 1,118,841 | 5,472,818 |
CAD | 1,996,640 | 25,089 | 285,574 | 12,754 | 796,148 | 3,116,206 |
BRL | 2,951 | 530,378 | 175,942 | 5,760 | 13,195 | 728,226 |
OTHER3 | 659,187 | 500,719 | 155,797 | 3,186 | 309,498 | 1,628,386 |
ASIA/PACIFIC | 10,807,139 | 3,649,029 | 2,289,913 | 109,937 | 3,744,023 | 20,600,042 |
JPY | 5,019,554 | 49,674 | 866,717 | 36,815 | 1,953,780 | 7,926,540 |
CNY | 1,478,199 | 165,775 | 591,240 | 35,498 | 110,926 | 2,381,639 |
KRW | 116,293 | 829,437 | 86,115 | 2,702 | 79,907 | 1,114,454 |
HKD | 500,493 | 5,159 | 117,882 | 83 | 134,333 | 757,950 |
AUD | 1,951,854 | 26,873 | 212,445 | 13,908 | 1,032,696 | 3,237,777 |
OTHER4 | 1,740,746 | 2,572,111 | 415,514 | 20,931 | 432,380 | 5,181,682 |
OTHER5 | 824,495 | 24,551 | 226,533 | 154,637 | 240,948 | 1,471,165 |
EUR/non-USD | 2,396,990 | 32,182 | 511,848 | 94,936 | 361,328 | 3,397,284 |
OTHER6 | 668,161 | 24,388 | 228,647 | 100,921 | 172,599 | 1,194,716 |
TOTAL | 31,772,306 | 4,940,553 | 5,698,669 | 600,792 | 11,437,099 | 54,449,420 |
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other. | |||||
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK. | |||||
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS. | |||||
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB. | |||||
5 Regions within the Other category include the Middle East and Africa. | |||||
6 Category includes currency pairs without USD or EUR leg. | |||||
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. |
FX by Product & Tenor (Calendar Days)
Product | 0-30 | 31-90 | 91-180 | 181-360 | 360+ | Total |
Swaps & Forwards | 6,406,270 | 9,563,122 | 8,147,796 | 4,371,980 | 3,283,138 | 31,772,306 |
NDF | 1,079,975 | 1,650,374 | 1,040,113 | 680,320 | 489,771 | 4,940,553 |
Options | 400,138 | 839,817 | 891,282 | 1,278,663 | 2,288,769 | 5,698,669 |
Exotics | 40,399 | 94,602 | 83,507 | 112,491 | 269,793 | 600,792 |
Cross Currency | 3,396 | 8,107 | 412,262 | 232,782 | 10,780,553 | 11,437,099 |
TOTAL | 7,930,179 | 12,156,022 | 10,574,960 | 6,676,236 | 17,112,024 | 54,449,420 |
FX by Product, Participant Type & Cleared Status
These tables show a weekly snapshot of gross notional amount outstanding. Individual tables break this down by product type, cleared status, tenor or currency. All numbers in the tables represent millions of USD. All tables include all participant types, tenors and currencies. For cleared swaps, these tables reflect only the legs held by the non-CCP counterparty; using this restriction, the numbers on this table are analogous to the notional value represented by futures open interest. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Ticket Volume - Interest Rate (Transactions)
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Basis | 316 | 26 | 342 |
Cap/Floor | 0 | 87 | 87 |
Exotic | 0 | 201 | 201 |
Fixed-Fixed | 1 | 1 | 2 |
Fixed-Float | 17,777 | 1,322 | 19,098 |
FRA | 299 | 5 | 304 |
Inflation | 388 | 26 | 414 |
OIS | 2,430 | 250 | 2,680 |
Swaption | 2 | 945 | 947 |
TOTAL | 21,213 | 2,863 | 24,076 |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Basis | 169 | 10 | 14 | 33 | 88 | 28 | 342 |
Cap/Floor | 76 | 10 | 0 | 0 | 1 | 0 | 87 |
Exotic | 141 | 20 | 4 | 3 | 5 | 28 | 201 |
Fixed-Fixed | 0 | 0 | 0 | 0 | 0 | 2 | 2 |
Fixed-Float | 6,118 | 3,880 | 419 | 406 | 1,553 | 6,723 | 19,098 |
FRA | 16 | 18 | 199 | 0 | 0 | 71 | 304 |
Inflation | 130 | 200 | 78 | 0 | 2 | 4 | 414 |
OIS | 536 | 574 | 940 | 4 | 11 | 615 | 2,680 |
Swaption | 695 | 127 | 33 | 39 | 37 | 16 | 947 |
TOTAL | 7,882 | 4,839 | 1,687 | 485 | 1,697 | 7,487 | 24,076 |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60-120 | 120-360 | 360+ | Total |
Basis | 17 | 4 | 42 | 43 | 118 | 77 | 39 | 2 | 342 |
Cap/Floor | 5 | 1 | 12 | 24 | 38 | 5 | 2 | 0 | 87 |
Exotic | 24 | 17 | 35 | 6 | 60 | 34 | 24 | 1 | 201 |
Fixed-Fixed | 1 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 2 |
Fixed-Float | 1,100 | 298 | 1,314 | 2,100 | 6,401 | 5,762 | 2,067 | 57 | 19,098 |
FRA | 261 | 40 | 2 | 0 | 0 | 0 | 1 | 0 | 304 |
Inflation | 0 | 0 | 13 | 11 | 130 | 159 | 93 | 8 | 414 |
OIS | 152 | 60 | 298 | 385 | 725 | 781 | 264 | 16 | 2,680 |
Swaption | 16 | 0 | 42 | 75 | 109 | 335 | 370 | 0 | 947 |
TOTAL | 1,576 | 420 | 1,758 | 2,644 | 7,581 | 7,152 | 2,860 | 84 | 24,076 |
IRS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product1 | Cleared2 | Uncleared | Cleared | Uncleared |
Fixed-Float | 22,380 | 1,460 | 13,174 | 1,184 |
OTHER* | 4,442 | 1,888 | 2,431 | 1,194 |
TOTAL | 26,822 | 3,348 | 15,605 | 2,378 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, Inflation, OIS, and Swaption. |
Notes
Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Ticket Volume - Credit (Transactions)
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche | 0 | 37 | 37 |
Europe / North America | 0 | 37 | 37 |
Index | 2,843 | 174 | 3,017 |
Europe / Other | 1,214 | 25 | 1,239 |
North America / Asia | 1,629 | 149 | 1,778 |
OTHER* | 5 | 194 | 199 |
TOTAL | 2,848 | 405 | 3,253 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche | 24 | 13 | 0 | 37 |
Index | 1,413 | 1,497 | 107 | 3,017 |
OTHER* | 55 | 101 | 43 | 199 |
TOTAL | 1,492 | 1,611 | 150 | 3,253 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product | Cleared2 | Uncleared | Cleared | Uncleared |
Index Tranche | 0 | 38 | 0 | 36 |
Index | 3,456 | 214 | 2,230 | 134 |
OTHER* | 10 | 207 | 0 | 181 |
TOTAL | 3,466 | 459 | 2,230 | 351 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Grade
Swap Dealers/MSPs5 | Others | |||||
Product | HY6 | IG | Other | HY | IG | Other |
Index Tranche | 25 | 13 | 0 | 23 | 13 | 0 |
Index | 1,727 | 1,828 | 115 | 1,099 | 1,166 | 99 |
OTHER* | 60 | 113 | 44 | 50 | 89 | 42 |
TOTAL | 1,812 | 1,954 | 159 | 1,172 | 1,268 | 141 |
* Includes exotic credit products, swaptions, and total return swaps. |
Notes
Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transactional Ticket Volume - FX (Transactions)
FX by Product & Cleared Status
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 267 | 395,727 | 395,994 |
NDF | 28,436 | 84,136 | 112,572 |
Options | 504 | 12,069 | 12,572 |
Exotics | 1 | 5,493 | 5,494 |
Cross Currency | 34 | 660 | 694 |
TOTAL | 29,241 | 498,085 | 527,326 |
FX by Major Currency Pair, Region & Product
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 309,804 | 110,360 | 11,162 | 4,134 | 647 | 436,106 |
EUROPE | 142,924 | 734 | 2,474 | 1,862 | 215 | 148,209 |
EUR | 61,806 | 258 | 1,801 | 1,089 | 143 | 65,097 |
GBP | 38,659 | 164 | 505 | 766 | 44 | 40,138 |
CHF | 12,896 | 132 | 89 | 2 | 5 | 13,124 |
OTHER2 | 29,563 | 180 | 79 | 5 | 23 | 29,850 |
AMERICAS/CARIBBEAN | 33,569 | 18,255 | 2,143 | 85 | 125 | 54,177 |
CAD | 20,718 | 80 | 1,066 | 34 | 44 | 21,942 |
BRL | 64 | 7,703 | 488 | 11 | 2 | 8,268 |
OTHER3 | 12,787 | 10,471 | 589 | 40 | 79 | 23,966 |
ASIA/PACIFIC | 110,488 | 90,957 | 6,071 | 952 | 292 | 208,760 |
JPY | 24,237 | 184 | 1,421 | 474 | 85 | 26,401 |
CNY | 20,164 | 1,318 | 996 | 55 | 60 | 22,593 |
KRW | 891 | 23,861 | 305 | 36 | 17 | 25,110 |
HKD | 5,738 | 77 | 29 | 0 | 4 | 5,848 |
AUD | 22,108 | 142 | 1,325 | 271 | 80 | 23,926 |
OTHER4 | 37,350 | 65,375 | 1,996 | 116 | 46 | 104,882 |
OTHER5 | 22,822 | 414 | 474 | 1,235 | 15 | 24,960 |
EUR/non-USD | 50,385 | 1,064 | 922 | 487 | 7 | 52,865 |
OTHER6 | 35,805 | 1,148 | 488 | 873 | 40 | 38,354 |
TOTAL | 395,994 | 112,572 | 12,572 | 5,494 | 694 | 527,326 |
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other. | |||||
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK. | |||||
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS. | |||||
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB. | |||||
5 Regions within the Other category include the Middle East and Africa. | |||||
6 Category includes currency pairs without USD or EUR leg. | |||||
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. |
FX by Product & Tenor (Calendar Days)
Product | 0-7 | 8-30 | 31-90 | 91-180 | 180+ | Total |
Swaps & Forwards | 158,959 | 126,117 | 61,616 | 37,420 | 11,883 | 395,994 |
NDF | 5,271 | 33,808 | 57,331 | 13,511 | 2,650 | 112,572 |
Options | 1,640 | 4,228 | 3,295 | 1,301 | 2,109 | 12,572 |
Exotics | 74 | 627 | 1,184 | 1,097 | 2,512 | 5,494 |
Cross Currency | 0 | 1 | 8 | 36 | 649 | 694 |
TOTAL | 165,944 | 164,781 | 123,434 | 53,365 | 19,803 | 527,326 |
FX by Product, Participant Type & Cleared Status
These tables show swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All new trades are included in ticket volumes. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Dollar Volume - Interest Rate (Millions of USD)
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Fixed-Float | 1,736,990 | 130,829 | 1,867,819 |
FRA | 104,898 | 3,587 | 108,485 |
OIS | 549,147 | 47,681 | 596,828 |
OTHER* | 124,862 | 183,743 | 308,605 |
TOTAL | 2,515,897 | 365,840 | 2,881,737 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption. |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Fixed-Float | 890,170 | 386,923 | 99,045 | 32,518 | 134,368 | 324,795 | 1,867,819 |
OTHER* | 420,539 | 251,782 | 236,915 | 12,188 | 14,768 | 77,727 | 1,013,918 |
TOTAL | 1,310,709 | 638,705 | 335,960 | 44,706 | 149,136 | 402,522 | 2,881,737 |
* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA. |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60-120 | 120-360 | 360+ | Total |
Fixed-Float | 368,133 | 134,293 | 401,215 | 218,024 | 384,248 | 297,977 | 62,570 | 1,359 | 1,867,819 |
OTHER* | 447,284 | 44,692 | 117,795 | 121,285 | 132,289 | 121,460 | 28,549 | 564 | 1,013,918 |
TOTAL | 815,418 | 178,985 | 519,010 | 339,309 | 516,537 | 419,437 | 91,118 | 1,923 | 2,881,737 |
* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis. |
IRS by Product, Participant Type & Cleared Status
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption. |
Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Dollar Volume - Credit (Millions of USD)
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche / Index | 121,821 | 4,738 | 126,559 |
OTHER* | 73 | 31,313 | 31,386 |
TOTAL | 121,894 | 36,051 | 157,945 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche / Index | 25,310 | 99,800 | 1,448 | 126,559 |
OTHER* | 5,633 | 24,946 | 808 | 31,386 |
TOTAL | 30,943 | 124,746 | 2,256 | 157,945 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product | Cleared2 | Uncleared | Cleared | Uncleared |
TOTAL* | 142,285 | 36,499 | 101,503 | 35,604 |
* Includes index tranche, index, exotic, swaptions, and total return swap credit products. |
CDS by Product, Participant Type & Grade
* Includes exotic credit products, swaptions, and total return swaps. |
Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transactional Dollar Volume - FX (Millions of USD)
FX by Product & Cleared Status
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 1,311 | 10,240,663 | 10,241,975 |
NDF | 200,890 | 604,835 | 805,726 |
Options | 6,377 | 414,172 | 420,549 |
Exotics | 25 | 30,336 | 30,362 |
Cross Currency | 673 | 60,980 | 61,654 |
TOTAL | 209,277 | 11,350,988 | 11,560,264 |
FX by Major Currency Pair, Region & Product
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 9,472,498 | 801,564 | 370,289 | 24,663 | 60,785 | 10,729,800 |
EUROPE | 5,149,291 | 47,536 | 108,972 | 7,920 | 28,373 | 5,342,092 |
EUR | 2,965,155 | 24,125 | 89,782 | 6,883 | 18,423 | 3,104,368 |
GBP | 1,278,942 | 13,448 | 13,610 | 960 | 5,150 | 1,312,110 |
CHF | 387,180 | 7,608 | 3,160 | 43 | 2,139 | 400,130 |
OTHER2 | 518,014 | 2,354 | 2,420 | 34 | 2,661 | 525,484 |
AMERICAS/CARIBBEAN | 743,573 | 161,409 | 63,897 | 540 | 9,053 | 978,472 |
CAD | 578,906 | 5,443 | 24,344 | 134 | 7,233 | 616,061 |
BRL | 321 | 78,009 | 21,912 | 331 | 142 | 100,715 |
OTHER3 | 164,345 | 77,957 | 17,641 | 75 | 1,678 | 261,696 |
ASIA/PACIFIC | 3,294,181 | 589,696 | 185,397 | 11,678 | 22,947 | 4,103,899 |
JPY | 1,747,742 | 18,358 | 49,142 | 3,352 | 10,794 | 1,829,387 |
CNY | 329,670 | 33,652 | 56,862 | 2,031 | 1,208 | 423,423 |
KRW | 33,372 | 119,038 | 14,971 | 1,314 | 467 | 169,162 |
HKD | 157,197 | 2,120 | 1,642 | 0 | 88 | 161,047 |
AUD | 533,519 | 10,209 | 19,692 | 1,585 | 7,697 | 572,701 |
OTHER4 | 492,680 | 406,319 | 43,088 | 3,396 | 2,694 | 948,178 |
OTHER5 | 285,454 | 2,924 | 12,023 | 4,526 | 412 | 305,338 |
EUR/non-USD | 610,761 | 1,875 | 38,992 | 3,632 | 369 | 655,629 |
OTHER6 | 158,715 | 2,286 | 11,267 | 2,066 | 500 | 174,835 |
TOTAL | 10,241,975 | 805,726 | 420,549 | 30,362 | 61,654 | 11,560,264 |
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other. | |||||
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK. | |||||
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS. | |||||
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB. | |||||
5 Regions within the Other category include the Middle East and Africa. | |||||
6 Category includes currency pairs without USD or EUR leg. | |||||
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. |
FX by Product & Tenor (Calendar Days)
Product | 0-7 | 8-30 | 31-90 | 91-180 | 180+ | Total |
Swaps & Forwards | 6,633,295 | 1,295,534 | 1,377,452 | 713,368 | 222,326 | 10,241,975 |
NDF | 52,199 | 397,255 | 205,322 | 112,852 | 38,097 | 805,726 |
Options | 52,754 | 129,767 | 112,420 | 49,965 | 75,642 | 420,549 |
Exotics | 1,360 | 5,085 | 11,653 | 3,593 | 8,671 | 30,362 |
Cross Currency | 0 | 199 | 228 | 12,969 | 48,258 | 61,654 |
TOTAL | 6,739,608 | 1,827,840 | 1,707,074 | 892,747 | 392,994 | 11,560,264 |
FX by Product, Participant Type & Cleared Status
These tables represent swap dollar volumes for new trades in the current week, broken down by product type, tenor, and cleared status. All numbers in the tables represent millions of USD. All tables include all participant types, tenors and currencies. For cleared swaps, these tables reflect only the legs held by the non-CCP counterparty. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Gross Notional Outstanding - All Tables (Millions of USD)
Gross Notional by Cleared Status
Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for cleared and uncleared descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Gross Notional by Participant Type
Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding by Cleared Status" table. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for participant type descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Fixed-Float | 131,281,563 | 12,150,759 | 143,432,322 |
FRA | 38,030,185 | 280,478 | 38,310,663 |
OIS | 35,635,649 | 2,063,484 | 37,699,133 |
OTHER* | 24,857,939 | 38,066,493 | 62,924,432 |
TOTAL | 229,805,335 | 52,561,214 | 282,366,550 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption. |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Basis | 12,916,964 | 604,507 | 4,103,000 | 1,369,596 | 1,727,741 | 1,072,973 | 21,794,781 |
Fixed-Float | 52,375,819 | 38,712,692 | 10,912,977 | 5,982,464 | 6,964,263 | 28,484,107 | 143,432,322 |
FRA | 13,139,907 | 19,814,302 | 3,060,107 | 13,751 | 0 | 2,282,596 | 38,310,663 |
OIS | 11,131,278 | 10,566,770 | 11,353,251 | 409,006 | 1,040,468 | 3,198,359 | 37,699,133 |
Swaption | 10,019,659 | 4,705,592 | 3,351,621 | 673,650 | 209,744 | 161,941 | 19,122,206 |
OTHER* | 11,044,991 | 6,039,539 | 2,645,698 | 98,397 | 50,568 | 2,128,251 | 22,007,445 |
TOTAL | 110,628,619 | 80,443,402 | 35,426,654 | 8,546,864 | 9,992,784 | 37,328,227 | 282,366,550 |
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation. |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60+ | Total |
Basis | 2,192,997 | 1,143,264 | 2,675,912 | 2,499,133 | 5,899,012 | 7,384,464 | 21,794,781 |
Fixed-Float | 16,100,860 | 3,836,385 | 13,623,819 | 16,701,765 | 38,045,981 | 55,123,512 | 143,432,322 |
FRA | 29,824,797 | 8,444,985 | 38,172 | 131 | 2,286 | 292 | 38,310,663 |
OIS | 18,128,150 | 1,445,053 | 4,254,831 | 3,892,911 | 4,707,055 | 5,271,132 | 37,699,133 |
Swaption | 128,169 | 3,329 | 5,216,670 | 2,616,542 | 3,780,515 | 7,376,981 | 19,122,206 |
OTHER* | 1,155,010 | 346,522 | 4,487,299 | 2,092,648 | 5,320,826 | 8,605,140 | 22,007,445 |
TOTAL | 67,529,983 | 15,219,540 | 30,296,702 | 27,803,130 | 57,755,675 | 83,761,520 | 282,366,550 |
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation. |
IRS by Product, Participant Type & Cleared Status
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation. |
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche / Index | 2,200,980 | 1,069,579 | 3,270,559 |
Asia | 60,003 | 65,038 | 125,040 |
Europe | 1,253,166 | 331,660 | 1,584,826 |
North America | 851,635 | 616,151 | 1,467,786 |
Other | 36,177 | 56,730 | 92,907 |
OTHER* | 1,987 | 882,112 | 884,099 |
TOTAL | 2,202,967 | 1,951,691 | 4,154,658 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche | 63,466 | 152,670 | 0 | 216,136 |
Index | 468,619 | 2,491,524 | 94,280 | 3,054,423 |
Asia | 0 | 125,040 | 0 | 125,040 |
Europe | 208,654 | 1,257,647 | 0 | 1,466,301 |
North America | 259,964 | 1,108,837 | 3,779 | 1,372,580 |
Other | 0 | 0 | 90,501 | 90,501 |
OTHER* | 91,398 | 684,541 | 108,159 | 884,099 |
TOTAL | 623,483 | 3,328,735 | 202,440 | 4,154,658 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Grade
* Includes exotic credit products, swaptions, and total return swaps. |
FX by Product & Cleared Status
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 11,950 | 31,760,356 | 31,772,306 |
NDF | 1,255,982 | 3,684,572 | 4,940,553 |
Options | 65,398 | 5,633,271 | 5,698,669 |
Exotics | 25 | 600,767 | 600,792 |
Cross Currency | 67,729 | 11,369,370 | 11,437,099 |
TOTAL | 1,401,084 | 53,048,336 | 54,449,420 |
FX by Major Currency Pair, Region & Product
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 28,707,154 | 4,883,984 | 4,958,174 | 404,935 | 10,903,172 | 49,857,419 |
EUROPE | 14,416,742 | 154,217 | 1,824,415 | 118,661 | 5,799,360 | 22,313,395 |
EUR | 7,834,390 | 84,606 | 1,487,656 | 99,865 | 3,383,353 | 12,889,870 |
GBP | 4,294,327 | 42,621 | 204,578 | 13,529 | 1,855,665 | 6,410,721 |
CHF | 988,023 | 17,211 | 106,437 | 3,925 | 271,398 | 1,386,993 |
OTHER2 | 1,300,001 | 9,779 | 25,743 | 1,342 | 288,945 | 1,625,810 |
AMERICAS/CARIBBEAN | 2,658,778 | 1,056,186 | 617,313 | 21,700 | 1,118,841 | 5,472,818 |
CAD | 1,996,640 | 25,089 | 285,574 | 12,754 | 796,148 | 3,116,206 |
BRL | 2,951 | 530,378 | 175,942 | 5,760 | 13,195 | 728,226 |
OTHER3 | 659,187 | 500,719 | 155,797 | 3,186 | 309,498 | 1,628,386 |
ASIA/PACIFIC | 10,807,139 | 3,649,029 | 2,289,913 | 109,937 | 3,744,023 | 20,600,042 |
JPY | 5,019,554 | 49,674 | 866,717 | 36,815 | 1,953,780 | 7,926,540 |
CNY | 1,478,199 | 165,775 | 591,240 | 35,498 | 110,926 | 2,381,639 |
KRW | 116,293 | 829,437 | 86,115 | 2,702 | 79,907 | 1,114,454 |
HKD | 500,493 | 5,159 | 117,882 | 83 | 134,333 | 757,950 |
AUD | 1,951,854 | 26,873 | 212,445 | 13,908 | 1,032,696 | 3,237,777 |
OTHER4 | 1,740,746 | 2,572,111 | 415,514 | 20,931 | 432,380 | 5,181,682 |
OTHER5 | 824,495 | 24,551 | 226,533 | 154,637 | 240,948 | 1,471,165 |
EUR/non-USD | 2,396,990 | 32,182 | 511,848 | 94,936 | 361,328 | 3,397,284 |
OTHER6 | 668,161 | 24,388 | 228,647 | 100,921 | 172,599 | 1,194,716 |
TOTAL | 31,772,306 | 4,940,553 | 5,698,669 | 600,792 | 11,437,099 | 54,449,420 |
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other. | |||||
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK. | |||||
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS. | |||||
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB. | |||||
5 Regions within the Other category include the Middle East and Africa. | |||||
6 Category includes currency pairs without USD or EUR leg. | |||||
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. |
FX by Product & Tenor (Calendar Days)
Product | 0-30 | 31-90 | 91-180 | 181-360 | 360+ | Total |
Swaps & Forwards | 6,406,270 | 9,563,122 | 8,147,796 | 4,371,980 | 3,283,138 | 31,772,306 |
NDF | 1,079,975 | 1,650,374 | 1,040,113 | 680,320 | 489,771 | 4,940,553 |
Options | 400,138 | 839,817 | 891,282 | 1,278,663 | 2,288,769 | 5,698,669 |
Exotics | 40,399 | 94,602 | 83,507 | 112,491 | 269,793 | 600,792 |
Cross Currency | 3,396 | 8,107 | 412,262 | 232,782 | 10,780,553 | 11,437,099 |
TOTAL | 7,930,179 | 12,156,022 | 10,574,960 | 6,676,236 | 17,112,024 | 54,449,420 |
FX by Product, Participant Type & Cleared Status
Notes
Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Dollar Volume - All Tables (Millions of USD)
Dollar Volume by Cleared Status
Weekly total, swap dollar volumes by asset class and cleared status (value of all trades in millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for cleared and uncleared descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Dollar Volume by Participant Type
Weekly total, swap dollar volumes by asset class and participant type (value of all trades in millions of USD), all products and tenors, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Dollar Volume by Cleared Status" table. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for participant type descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Fixed-Float | 1,736,990 | 130,829 | 1,867,819 |
FRA | 104,898 | 3,587 | 108,485 |
OIS | 549,147 | 47,681 | 596,828 |
OTHER* | 124,862 | 183,743 | 308,605 |
TOTAL | 2,515,897 | 365,840 | 2,881,737 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption. |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Fixed-Float | 890,170 | 386,923 | 99,045 | 32,518 | 134,368 | 324,795 | 1,867,819 |
OTHER* | 420,539 | 251,782 | 236,915 | 12,188 | 14,768 | 77,727 | 1,013,918 |
TOTAL | 1,310,709 | 638,705 | 335,960 | 44,706 | 149,136 | 402,522 | 2,881,737 |
* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA. |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60-120 | 120-360 | 360+ | Total |
Fixed-Float | 368,133 | 134,293 | 401,215 | 218,024 | 384,248 | 297,977 | 62,570 | 1,359 | 1,867,819 |
OTHER* | 447,284 | 44,692 | 117,795 | 121,285 | 132,289 | 121,460 | 28,549 | 564 | 1,013,918 |
TOTAL | 815,418 | 178,985 | 519,010 | 339,309 | 516,537 | 419,437 | 91,118 | 1,923 | 2,881,737 |
* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis. |
IRS by Product, Participant Type & Cleared Status
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption. |
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche / Index | 121,821 | 4,738 | 126,559 |
OTHER* | 73 | 31,313 | 31,386 |
TOTAL | 121,894 | 36,051 | 157,945 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche / Index | 25,310 | 99,800 | 1,448 | 126,559 |
OTHER* | 5,633 | 24,946 | 808 | 31,386 |
TOTAL | 30,943 | 124,746 | 2,256 | 157,945 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product | Cleared2 | Uncleared | Cleared | Uncleared |
TOTAL* | 142,285 | 36,499 | 101,503 | 35,604 |
* Includes index tranche, index, exotic, swaptions, and total return swap credit products. |
CDS by Product, Participant Type & Grade
* Includes exotic credit products, swaptions, and total return swaps. |
FX by Product & Cleared Status
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 1,311 | 10,240,663 | 10,241,975 |
NDF | 200,890 | 604,835 | 805,726 |
Options | 6,377 | 414,172 | 420,549 |
Exotics | 25 | 30,336 | 30,362 |
Cross Currency | 673 | 60,980 | 61,654 |
TOTAL | 209,277 | 11,350,988 | 11,560,264 |
FX by Major Currency Pair, Region & Product
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 9,472,498 | 801,564 | 370,289 | 24,663 | 60,785 | 10,729,800 |
EUROPE | 5,149,291 | 47,536 | 108,972 | 7,920 | 28,373 | 5,342,092 |
EUR | 2,965,155 | 24,125 | 89,782 | 6,883 | 18,423 | 3,104,368 |
GBP | 1,278,942 | 13,448 | 13,610 | 960 | 5,150 | 1,312,110 |
CHF | 387,180 | 7,608 | 3,160 | 43 | 2,139 | 400,130 |
OTHER2 | 518,014 | 2,354 | 2,420 | 34 | 2,661 | 525,484 |
AMERICAS/CARIBBEAN | 743,573 | 161,409 | 63,897 | 540 | 9,053 | 978,472 |
CAD | 578,906 | 5,443 | 24,344 | 134 | 7,233 | 616,061 |
BRL | 321 | 78,009 | 21,912 | 331 | 142 | 100,715 |
OTHER3 | 164,345 | 77,957 | 17,641 | 75 | 1,678 | 261,696 |
ASIA/PACIFIC | 3,294,181 | 589,696 | 185,397 | 11,678 | 22,947 | 4,103,899 |
JPY | 1,747,742 | 18,358 | 49,142 | 3,352 | 10,794 | 1,829,387 |
CNY | 329,670 | 33,652 | 56,862 | 2,031 | 1,208 | 423,423 |
KRW | 33,372 | 119,038 | 14,971 | 1,314 | 467 | 169,162 |
HKD | 157,197 | 2,120 | 1,642 | 0 | 88 | 161,047 |
AUD | 533,519 | 10,209 | 19,692 | 1,585 | 7,697 | 572,701 |
OTHER4 | 492,680 | 406,319 | 43,088 | 3,396 | 2,694 | 948,178 |
OTHER5 | 285,454 | 2,924 | 12,023 | 4,526 | 412 | 305,338 |
EUR/non-USD | 610,761 | 1,875 | 38,992 | 3,632 | 369 | 655,629 |
OTHER6 | 158,715 | 2,286 | 11,267 | 2,066 | 500 | 174,835 |
TOTAL | 10,241,975 | 805,726 | 420,549 | 30,362 | 61,654 | 11,560,264 |
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other. | |||||
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK. | |||||
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS. | |||||
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB. | |||||
5 Regions within the Other category include the Middle East and Africa. | |||||
6 Category includes currency pairs without USD or EUR leg. | |||||
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. |
FX by Product & Tenor (Calendar Days)
Product | 0-7 | 8-30 | 31-90 | 91-180 | 180+ | Total |
Swaps & Forwards | 6,633,295 | 1,295,534 | 1,377,452 | 713,368 | 222,326 | 10,241,975 |
NDF | 52,199 | 397,255 | 205,322 | 112,852 | 38,097 | 805,726 |
Options | 52,754 | 129,767 | 112,420 | 49,965 | 75,642 | 420,549 |
Exotics | 1,360 | 5,085 | 11,653 | 3,593 | 8,671 | 30,362 |
Cross Currency | 0 | 199 | 228 | 12,969 | 48,258 | 61,654 |
TOTAL | 6,739,608 | 1,827,840 | 1,707,074 | 892,747 | 392,994 | 11,560,264 |
FX by Product, Participant Type & Cleared Status
Notes
Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Transaction Ticket Volume - All Tables (Transactions)
Ticket Volume by Cleared Status
Weekly total, swap ticket volumes by asset class and cleared status (number of new trades), all products, tenors, and participant types. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for cleared and uncleared descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
Ticket Volume by Participant Type
Weekly total, swap ticket volumes by asset class and participant type (number of new trades), all products and tenors, cleared and uncleared. For cleared swaps, the creation of each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, each trade is attributed to both swap counterparties. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Ticket Volume by Cleared Status" table. | |||||
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources. | |||||
** See Explanatory Notes for participant type descriptions. | |||||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Basis | 316 | 26 | 342 |
Cap/Floor | 0 | 87 | 87 |
Exotic | 0 | 201 | 201 |
Fixed-Fixed | 1 | 1 | 2 |
Fixed-Float | 17,777 | 1,322 | 19,098 |
FRA | 299 | 5 | 304 |
Inflation | 388 | 26 | 414 |
OIS | 2,430 | 250 | 2,680 |
Swaption | 2 | 945 | 947 |
TOTAL | 21,213 | 2,863 | 24,076 |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Basis | 169 | 10 | 14 | 33 | 88 | 28 | 342 |
Cap/Floor | 76 | 10 | 0 | 0 | 1 | 0 | 87 |
Exotic | 141 | 20 | 4 | 3 | 5 | 28 | 201 |
Fixed-Fixed | 0 | 0 | 0 | 0 | 0 | 2 | 2 |
Fixed-Float | 6,118 | 3,880 | 419 | 406 | 1,553 | 6,723 | 19,098 |
FRA | 16 | 18 | 199 | 0 | 0 | 71 | 304 |
Inflation | 130 | 200 | 78 | 0 | 2 | 4 | 414 |
OIS | 536 | 574 | 940 | 4 | 11 | 615 | 2,680 |
Swaption | 695 | 127 | 33 | 39 | 37 | 16 | 947 |
TOTAL | 7,882 | 4,839 | 1,687 | 485 | 1,697 | 7,487 | 24,076 |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60-120 | 120-360 | 360+ | Total |
Basis | 17 | 4 | 42 | 43 | 118 | 77 | 39 | 2 | 342 |
Cap/Floor | 5 | 1 | 12 | 24 | 38 | 5 | 2 | 0 | 87 |
Exotic | 24 | 17 | 35 | 6 | 60 | 34 | 24 | 1 | 201 |
Fixed-Fixed | 1 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 2 |
Fixed-Float | 1,100 | 298 | 1,314 | 2,100 | 6,401 | 5,762 | 2,067 | 57 | 19,098 |
FRA | 261 | 40 | 2 | 0 | 0 | 0 | 1 | 0 | 304 |
Inflation | 0 | 0 | 13 | 11 | 130 | 159 | 93 | 8 | 414 |
OIS | 152 | 60 | 298 | 385 | 725 | 781 | 264 | 16 | 2,680 |
Swaption | 16 | 0 | 42 | 75 | 109 | 335 | 370 | 0 | 947 |
TOTAL | 1,576 | 420 | 1,758 | 2,644 | 7,581 | 7,152 | 2,860 | 84 | 24,076 |
IRS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product1 | Cleared2 | Uncleared | Cleared | Uncleared |
Fixed-Float | 22,380 | 1,460 | 13,174 | 1,184 |
OTHER* | 4,442 | 1,888 | 2,431 | 1,194 |
TOTAL | 26,822 | 3,348 | 15,605 | 2,378 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, Inflation, OIS, and Swaption. |
CDS by Product & Cleared Status
Product | Cleared2 | Uncleared | Total |
Index Tranche | 0 | 37 | 37 |
Europe / North America | 0 | 37 | 37 |
Index | 2,843 | 174 | 3,017 |
Europe / Other | 1,214 | 25 | 1,239 |
North America / Asia | 1,629 | 149 | 1,778 |
OTHER* | 5 | 194 | 199 |
TOTAL | 2,848 | 405 | 3,253 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product & Grade
Product | HY6 | IG | Other | Total |
Index Tranche | 24 | 13 | 0 | 37 |
Index | 1,413 | 1,497 | 107 | 3,017 |
OTHER* | 55 | 101 | 43 | 199 |
TOTAL | 1,492 | 1,611 | 150 | 3,253 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product | Cleared2 | Uncleared | Cleared | Uncleared |
Index Tranche | 0 | 38 | 0 | 36 |
Index | 3,456 | 214 | 2,230 | 134 |
OTHER* | 10 | 207 | 0 | 181 |
TOTAL | 3,466 | 459 | 2,230 | 351 |
* Includes exotic credit products, swaptions, and total return swaps. |
CDS by Product, Participant Type & Grade
Swap Dealers/MSPs5 | Others | |||||
Product | HY6 | IG | Other | HY | IG | Other |
Index Tranche | 25 | 13 | 0 | 23 | 13 | 0 |
Index | 1,727 | 1,828 | 115 | 1,099 | 1,166 | 99 |
OTHER* | 60 | 113 | 44 | 50 | 89 | 42 |
TOTAL | 1,812 | 1,954 | 159 | 1,172 | 1,268 | 141 |
* Includes exotic credit products, swaptions, and total return swaps. |
FX by Product & Cleared Status
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 267 | 395,727 | 395,994 |
NDF | 28,436 | 84,136 | 112,572 |
Options | 504 | 12,069 | 12,572 |
Exotics | 1 | 5,493 | 5,494 |
Cross Currency | 34 | 660 | 694 |
TOTAL | 29,241 | 498,085 | 527,326 |
FX by Major Currency Pair, Region & Product
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 309,804 | 110,360 | 11,162 | 4,134 | 647 | 436,106 |
EUROPE | 142,924 | 734 | 2,474 | 1,862 | 215 | 148,209 |
EUR | 61,806 | 258 | 1,801 | 1,089 | 143 | 65,097 |
GBP | 38,659 | 164 | 505 | 766 | 44 | 40,138 |
CHF | 12,896 | 132 | 89 | 2 | 5 | 13,124 |
OTHER2 | 29,563 | 180 | 79 | 5 | 23 | 29,850 |
AMERICAS/CARIBBEAN | 33,569 | 18,255 | 2,143 | 85 | 125 | 54,177 |
CAD | 20,718 | 80 | 1,066 | 34 | 44 | 21,942 |
BRL | 64 | 7,703 | 488 | 11 | 2 | 8,268 |
OTHER3 | 12,787 | 10,471 | 589 | 40 | 79 | 23,966 |
ASIA/PACIFIC | 110,488 | 90,957 | 6,071 | 952 | 292 | 208,760 |
JPY | 24,237 | 184 | 1,421 | 474 | 85 | 26,401 |
CNY | 20,164 | 1,318 | 996 | 55 | 60 | 22,593 |
KRW | 891 | 23,861 | 305 | 36 | 17 | 25,110 |
HKD | 5,738 | 77 | 29 | 0 | 4 | 5,848 |
AUD | 22,108 | 142 | 1,325 | 271 | 80 | 23,926 |
OTHER4 | 37,350 | 65,375 | 1,996 | 116 | 46 | 104,882 |
OTHER5 | 22,822 | 414 | 474 | 1,235 | 15 | 24,960 |
EUR/non-USD | 50,385 | 1,064 | 922 | 487 | 7 | 52,865 |
OTHER6 | 35,805 | 1,148 | 488 | 873 | 40 | 38,354 |
TOTAL | 395,994 | 112,572 | 12,572 | 5,494 | 694 | 527,326 |
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other. | |||||
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK. | |||||
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS. | |||||
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB. | |||||
5 Regions within the Other category include the Middle East and Africa. | |||||
6 Category includes currency pairs without USD or EUR leg. | |||||
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. |
FX by Product & Tenor (Calendar Days)
Product | 0-7 | 8-30 | 31-90 | 91-180 | 180+ | Total |
Swaps & Forwards | 158,959 | 126,117 | 61,616 | 37,420 | 11,883 | 395,994 |
NDF | 5,271 | 33,808 | 57,331 | 13,511 | 2,650 | 112,572 |
Options | 1,640 | 4,228 | 3,295 | 1,301 | 2,109 | 12,572 |
Exotics | 74 | 627 | 1,184 | 1,097 | 2,512 | 5,494 |
Cross Currency | 0 | 1 | 8 | 36 | 649 | 694 |
TOTAL | 165,944 | 164,781 | 123,434 | 53,365 | 19,803 | 527,326 |
FX by Product, Participant Type & Cleared Status
Notes
Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. | |||
1 See Data Dictionary for product descriptions and Explanatory Notes for data sources. | |||
2 See Explanatory Notes for cleared and uncleared descriptions. | |||
3 See Explanatory Notes for currency descriptions. | |||
4 See Explanatory Notes for tenor bucket descriptions. | |||
5 See Explanatory Notes for participant type descriptions. | |||
6 See Data Dictionary for grade descriptions. | |||
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]. |